VTI
Vanguard Total Stock Market Index Fund ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-28
Executive Summary
The quantitative backtest for VTI (Vanguard Total Stock Market Index Fund ETF) using the Excess Return SMA* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -26.3% (compared to the benchmark's drawdown of -55.5%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 11.8%, compared to a Buy-and-Hold benchmark return of 11.2%. The strategy executed 12 total trades.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
* Excess Return SMA: Advanced Single Moving Average model utilizing custom duration weighting and dynamic Stop Loss limits.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA Active
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200)
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Investment Objective
🛡️ Long-Term Investing Active
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
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VTI Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 18.08% | 18.08% | 7.75% | 11.58% | 14.77% | 14.49% | 11.83% | 11.17% |
| Sharpe Ratio | 1.29 | 1.29 | 0.53 | 0.63 | 0.94 | 0.74 | 0.79 | 0.57 |
| Max Drawdown | -8.92% | -8.92% | -20.77% | -25.36% | -20.77% | -35.00% | -26.32% | -55.45% |
| % Time Invested | 100.0% | 100.0% | 76.1% | 100.0% | 86.0% | 100.0% | 87.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.6 | 0.0 | 0.6 | 0.0 | 0.5 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2025-04-07 | 2025-04-30 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.27% | Interest Income | |
| 2023-11-08 | 2025-04-07 | Completed | 100% | $208.74 | $236.52 | 13.25% | Stop | |
| 2022-11-07 | 2023-11-08 | Interest (CASH) | 100% | $1.00 | $1.05 | 5.11% | Interest Income | |
| 2022-10-18 | 2022-11-07 | Completed | 100% | $178.60 | $179.97 | 0.72% | Signal | |
| 2022-09-26 | 2022-10-18 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.22% | Interest Income | |
| 2022-05-25 | 2022-09-26 | Completed | 100% | $184.49 | $174.19 | -5.63% | Stop | |
| 2022-05-03 | 2022-05-25 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.06% | Interest Income | |
| 2020-03-24 | 2022-05-03 | Completed | 100% | $107.06 | $196.29 | 83.26% | Stop | |
| 2020-03-02 | 2020-03-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2019-01-15 | 2020-03-02 | Completed | 100% | $118.04 | $137.81 | 16.69% | Stop | |
| 2018-12-20 | 2019-01-15 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.15% | Interest Income | |
| 2016-08-24 | 2018-12-20 | Completed | 100% | $95.66 | $113.19 | 18.27% | Stop | |
| 2016-07-27 | 2016-08-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2015-09-17 | 2016-07-27 | Completed | 100% | $86.45 | $94.79 | 9.60% | Signal | |
| 2015-08-25 | 2015-09-17 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2011-08-31 | 2015-08-25 | Completed | 100% | $48.55 | $84.59 | 74.13% | Stop | |
| 2011-08-09 | 2011-08-31 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2010-06-01 | 2011-08-09 | Completed | 100% | $41.72 | $44.93 | 7.65% | Stop | |
| 2010-05-07 | 2010-06-01 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.01% | Interest Income | |
| 2009-07-22 | 2010-05-07 | Completed | 100% | $35.40 | $43.40 | 22.55% | Stop | |
| 2008-07-16 | 2009-07-22 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.50% | Interest Income | |
| 2008-02-12 | 2008-07-16 | Completed | 100% | $48.31 | $44.09 | -8.77% | Stop | |
| 2008-01-18 | 2008-02-12 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.14% | Interest Income | |
| 2003-09-05 | 2008-01-18 | Completed | 100% | $32.69 | $47.33 | 44.70% | Stop | |
| 2003-06-13 | 2003-09-05 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.21% | Interest Income | |